2 papers
econ.EM2026
Beyond Validity: SVAR Identification Through the Proxy Zoo
Jiaming Huang, Luca Neri
This paper develops a framework for robust identification in SVARs when researchers face a zoo of proxy variables. Instead of imposing exact exogeneity, we introduce generalized ra…
econ.EM2025
Invalid proxies and volatility changes
Giovanni Angelini, Luca Fanelli, Luca Neri
When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous…